Portfolio choices and VaR constraint with a defaultable asset

被引：2
|
作者：
Barucci, Emilio [1 ]
Cosso, Andrea [1 ]
机构：
[1] Politecn Milan, Dept Math, I-20133 Milan, Italy
来源：
QUANTITATIVE FINANCE | 2015年 / 15卷 / 05期
关键词：
CEV; Regulation; VaR; Optimal portfolio; G21; G11; G28; RISK REGULATION; MOMENTUM; POLICIES; IMPACT;
D O I：
10.1080/14697688.2013.871643
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We consider a Constant Elasticity of Variance (CEV) model for the asset price of a defaultable asset showing the so-called leverage effect (high volatility when the asset price is low). We show that a VaR constraint re-evaluated over time induces an agent more risk averse than a logarithmic utility to take more risk than in the unconstrained setting.
引用
收藏
页码：853 / 864
页数：12
相关论文
共 50 条
  • [21] Dynamic asset allocation under VaR constraint with stochastic interest rates
    Donatien Hainaut
    Annals of Operations Research, 2009, 172 : 97 - 117
  • [22] Optimal portfolio with defaultable bonds under default correlation
    Bian, S.-B. (bsb@lixin.edu.cn), 1600, Systems Engineering Society of China (33):
  • [23] Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
    Danielsson, Jon
    Jorgensen, Bjorn N.
    de Vries, Casper G.
    Yang, Xiaoguang
    ANNALS OF FINANCE, 2008, 4 (03) : 345 - 367
  • [24] Study on Dynamic Real Estate Optimal Portfolio Model under VaR Constraint
    Zhang, Hai-yan
    2011 INTERNATIONAL CONFERENCE ON ECONOMIC, EDUCATION AND MANAGEMENT (ICEEM2011), VOL II, 2011, : 226 - 228
  • [25] Portfolio optimization in a defaultable market under incomplete information
    Callegaro, Giorgia
    Jeanblanc, Monique
    Runggaldier, Wolfgang J.
    DECISIONS IN ECONOMICS AND FINANCE, 2012, 35 (02) : 91 - 111
  • [26] MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT
    Biswas, Subhojit
    Jawaid, Saif
    Mukherjee, Diganta
    ANNALS OF FINANCIAL ECONOMICS, 2020, 15 (01)
  • [27] Portfolio choices of parents and their children as young adults: Asset accumulation by African-American families
    Chiteji, NS
    Stafford, FP
    AMERICAN ECONOMIC REVIEW, 1999, 89 (02): : 377 - 380
  • [28] A Risk-Based Approach for Asset Allocation with A Defaultable Share
    Shen, Yang
    Siu, Tak Kuen
    RISKS, 2018, 6 (01):
  • [29] Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment
    Li, Ting
    Zhang, Weiguo
    Xu, Weijun
    ECONOMIC MODELLING, 2013, 31 : 12 - 17
  • [30] DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING
    Capponi, Agostino
    Figueroa-Lopez, Jose E.
    MATHEMATICAL FINANCE, 2014, 24 (02) : 207 - 249
12345